大小非解禁对A股市场的影响研究——基于有理分布滞后模型和累积效应模型的比较  

A Study on the Effect of Lifting the Ban on Non-tradable Shares to A Share Market Based on Rational Distributed Lag Model and Accumulative Effect Model

作　　者：李庆峰[1] 黄维加[1] 

机构地区：[1]华南师范大学经济与管理学院,广州510006

出　　处：《浙江工商大学学报》2010年第4期64-69,共6页Journal of Zhejiang Gongshang University

基　　金：广东省自然科学基金项目"广东省股权分置改革研究:对价基础与绩效评测"(06300829)

摘　　要：本文基于2006年6月以来的月度时间序列样本,构建了经典的有理分布滞后模型并提出了累积效应模型,计量结果比较发现,大小非解禁对A股市场走势具有即期效应为正而累积效应为负的特征,并受外围市场波动的影响。进一步分析表明大小非解禁对香港市场走势影响不显著,由此判断大小非解禁确实是影响A股市场的一个独特因素。最后结合其他方面客观分析了大小非解禁的市场效应问题。How much did the problem of Lifting the Ban on Non-tradable Shares affect A share market on earth？ The paper plans to make an empirical study to disclose the difference between the impact effect and lagged effect.Based on monthly-frequency time serious data since June 2006,the paper builds classical Rational Distributed Lag Model and puts forward a new Accumulative Effect Model.Econometrical result proved that the impact effect of lifting the ban on Non-tradable Shares is positive but the accumulative effect is negative.Furthermore,the paper proved that the problem of Lifting the Ban on Non-tradable Share is indeed a unique factor to affect A share market because it didn＇t affect stock market in Hong Kong.Finally,the paper synthetically analyzes the problem of Lifting the Ban on Non-tradable Shares.

关 键 词：限售股 大小非解禁 即期效应 累积效应 

分 类 号：F830.91[经济管理—金融学]